C++：实现量化GSR模型测试实例

#include "gsr.hpp"
#include "utilities.hpp"
#include <ql/processes/gsrprocess.hpp>
#include <ql/models/shortrate/onefactormodels/gsr.hpp>
#include <ql/instruments/nonstandardswap.hpp>
#include <ql/instruments/nonstandardswaption.hpp>
#include <ql/pricingengines/swaption/gaussian1dswaptionengine.hpp>
#include <ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.hpp>
#include <ql/pricingengines/swaption/gaussian1dnonstandardswaptionengine.hpp>
#include <ql/indexes/swap/euriborswap.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/math/optimization/levenbergmarquardt.hpp>using namespace QuantLib;
using boost::unit_test_framework::test_suite;using std::fabs;void GsrTest::testGsrProcess() {BOOST_TEST_MESSAGE("Testing GSR process...");Date refDate = Settings::instance().evaluationDate();// constant reversion, constant volatility, test conditional expectation and// variance against// existing HullWhiteForwardProcess// technically we test two representations of the same constant reversion// and volatility structure,// namely with and without step datesReal tol = 1E-8;Real reversion = 0.01;Real modelvol = 0.01;Handle<YieldTermStructure> yts0(ext::shared_ptr<YieldTermStructure>(new FlatForward(0, TARGET(), 0.00, Actual365Fixed())));std::vector<Date> stepDates0;std::vector<Real> vols0(1, modelvol);std::vector<Real> reversions0(1, reversion);std::vector<Date> stepDates1;for (Size i = 1; i < 60; i++)stepDates1.push_back(refDate + (i * 6 * Months));std::vector<Real> vols1(stepDates1.size() + 1, modelvol);std::vector<Real> reversions1(stepDates1.size() + 1, reversion);Real T = 10.0;do {ext::shared_ptr<Gsr> model(new Gsr(yts0, stepDates0, vols0, reversions0, T));ext::shared_ptr<StochasticProcess1D> gsrProcess =model->stateProcess();ext::shared_ptr<Gsr> model2(new Gsr(yts0, stepDates1, vols1, reversions1, T));ext::shared_ptr<StochasticProcess1D> gsrProcess2 =model2->stateProcess();ext::shared_ptr<HullWhiteForwardProcess> hwProcess(new HullWhiteForwardProcess(yts0, reversion, modelvol));hwProcess->setForwardMeasureTime(T);Real w, t, xw, hwVal, gsrVal, gsr2Val;t = 0.5;do {w = 0.0;do {xw = -0.1;do {hwVal = hwProcess->expectation(w, xw, t - w);gsrVal = gsrProcess->expectation(w, xw, t - w);gsr2Val = gsrProcess2->expectation(w, xw, t - w);if (fabs(hwVal - gsrVal) > tol)BOOST_ERROR("Expectation E^{T="<< T << "}(x(" << t << ") | x(" << w << ") = " << xw<< " is different in HullWhiteProcess(" << hwVal<< ") and GsrProcess (" << gsrVal << ")");if (fabs(hwVal - gsr2Val) > tol)BOOST_ERROR("Expectation E^{T="<< T << "}(x(" << t << ") | x(" << w << ") = " << xw<< " is different in HullWhiteProcess(" << hwVal<< ") and GsrProcess2 (" << gsr2Val << ")");hwVal = hwProcess->variance(w, xw, t - w);gsrVal = gsrProcess->variance(w, xw, t - w);gsr2Val = gsrProcess2->variance(w, xw, t - w);if (fabs(hwVal - gsrVal) > tol)BOOST_ERROR("Variance V((x("<< t << ") | x(" << w << ") = " << xw<< " is different in HullWhiteProcess("<< hwVal << ") and GsrProcess (" << gsrVal<< ")");if (fabs(hwVal - gsr2Val) > tol)BOOST_ERROR("Variance V((x("<< t << ") | x(" << w << ") = " << xw<< " is different in HullWhiteProcess("<< hwVal << ") and GsrProcess2 (" << gsr2Val<< ")");xw += 0.01;} while (xw <= 0.1);w += t / 5.0;} while (w <= t - 0.1);t += T / 20.0;} while (t <= T - 0.1);T += 10.0;} while (T <= 30.0);// time dependent reversion and volatility (test cases to be added)Array times(2);Array vols(3);Array reversions(3);times[0] = 1.0;times[1] = 2.0;vols[0] = 0.2;vols[1] = 0.3;vols[2] = 0.4;reversions[0] = 0.50;reversions[1] = 0.80;reversions[2] = 1.30;GsrProcess p(times, vols, reversions);p.setForwardMeasureTime(10.0);// add more test cases here ...
}void GsrTest::testGsrModel() {BOOST_TEST_MESSAGE("Testing GSR model...");Date refDate = Settings::instance().evaluationDate();Real modelvol = 0.01;Real reversion = 0.01;std::vector<Date> stepDates; // no step datesstd::vector<Real> vols(1, modelvol);std::vector<Real> reversions(1, reversion);std::vector<Date> stepDates1; // artificial step dates (should yield the// same result)for (Size i = 1; i < 60; i++)stepDates1.push_back(refDate + (i * 6 * Months));std::vector<Real> vols1(stepDates1.size() + 1, modelvol);std::vector<Real> reversions1(stepDates1.size() + 1, reversion);Handle<YieldTermStructure> yts(ext::shared_ptr<YieldTermStructure>(new FlatForward(0, TARGET(), 0.03, Actual365Fixed())));ext::shared_ptr<Gsr> model(new Gsr(yts, stepDates, vols, reversions, 50.0));ext::shared_ptr<Gsr> model2(new Gsr(yts, stepDates1, vols1, reversions1, 50.0));ext::shared_ptr<HullWhite> hw(new HullWhite(yts, reversion, modelvol));// test zerobond prices against existing HullWhite model// technically we test two representations of the same constant reversion// and volatility structure,// namely with and without step datesReal tol0 = 1E-8;Real w, t, xw;w = 0.1;do {t = w + 0.1;do {xw = -0.10;do {Real yw =(xw - model->stateProcess()->expectation(0.0, 0.0, w)) /model->stateProcess()->stdDeviation(0.0, 0.0, w);Real rw = xw + 0.03; // instantaneous forward is 0.03Real gsrVal = model->zerobond(t, w, yw);Real gsr2Val = model2->zerobond(t, w, yw);Real hwVal = hw->discountBond(w, t, rw);if (fabs(gsrVal - hwVal) > tol0)BOOST_ERROR("Zerobond P("<< w << "," << t << " | x=" << xw << " / y="<< yw << ") is different in HullWhite ("<< hwVal << ") and Gsr (" << gsrVal << ")");if (fabs(gsr2Val - hwVal) > tol0)BOOST_ERROR("Zerobond P("<< w << "," << t << " | x=" << xw << " / y="<< yw << ") is different in HullWhite ("<< hwVal << ") and Gsr2 (" << gsr2Val << ")");xw += 0.01;} while (xw <= 0.10);t += 2.5;} while (t <= 50.0);w += 5.0;} while (w <= 50.0);// test standard, nonstandard and jamshidian engine against existing Hull// White Jamshidian engineDate expiry = TARGET().advance(refDate, 5 * Years);Period tenor = 10 * Years;ext::shared_ptr<SwapIndex> swpIdx(new EuriborSwapIsdaFixA(tenor, yts));Real forward = swpIdx->fixing(expiry);ext::shared_ptr<VanillaSwap> underlying = swpIdx->underlyingSwap(expiry);ext::shared_ptr<VanillaSwap> underlyingFixed =MakeVanillaSwap(10 * Years, swpIdx->iborIndex(), forward).withEffectiveDate(swpIdx->valueDate(expiry)).withFixedLegCalendar(swpIdx->fixingCalendar()).withFixedLegDayCount(swpIdx->dayCounter()).withFixedLegTenor(swpIdx->fixedLegTenor()).withFixedLegConvention(swpIdx->fixedLegConvention()).withFixedLegTerminationDateConvention(swpIdx->fixedLegConvention());ext::shared_ptr<Exercise> exercise(new EuropeanExercise(expiry));ext::shared_ptr<Swaption> stdswaption(new Swaption(underlyingFixed, exercise));ext::shared_ptr<NonstandardSwaption> nonstdswaption(new NonstandardSwaption(*stdswaption));stdswaption->setPricingEngine(ext::shared_ptr<PricingEngine>(new JamshidianSwaptionEngine(hw, yts)));Real HwJamNpv = stdswaption->NPV();nonstdswaption->setPricingEngine(ext::shared_ptr<PricingEngine>(new Gaussian1dNonstandardSwaptionEngine(model, 64, 7.0, true, false)));stdswaption->setPricingEngine(ext::shared_ptr<PricingEngine>(new Gaussian1dSwaptionEngine(model, 64, 7.0, true, false)));Real GsrNonStdNpv = nonstdswaption->NPV();Real GsrStdNpv = stdswaption->NPV();stdswaption->setPricingEngine(ext::shared_ptr<PricingEngine>(new Gaussian1dJamshidianSwaptionEngine(model)));Real GsrJamNpv = stdswaption->NPV();if (fabs(HwJamNpv - GsrNonStdNpv) > 0.00005)BOOST_ERROR("Jamshidian HW NPV ("<< HwJamNpv<< ") deviates from Gaussian1dNonstandardSwaptionEngine NPV ("<< GsrNonStdNpv << ")");if (fabs(HwJamNpv - GsrStdNpv) > 0.00005)BOOST_ERROR("Jamshidian HW NPV ("<< HwJamNpv<< ") deviates from Gaussian1dSwaptionEngine NPV ("<< GsrStdNpv << ")");if (fabs(HwJamNpv - GsrJamNpv) > 0.00005)BOOST_ERROR("Jamshidian HW NPV ("<< HwJamNpv<< ") deviates from Gaussian1dJamshidianEngine NPV ("<< GsrJamNpv << ")");
}test_suite *GsrTest::suite() {auto* suite = BOOST_TEST_SUITE("GSR model tests");suite->add(QUANTLIB_TEST_CASE(&GsrTest::testGsrProcess));suite->add(QUANTLIB_TEST_CASE(&GsrTest::testGsrModel));return suite;
}

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本文章博客地址：https://cplusplus.blog.csdn.net/article/details/128363954

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